CVNA Options History — December 2020

In December 2020, CVNA traded between $8.96 and $11.56. ATM implied volatility averaged 63.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 2.8% (HV 20d: 66.4%). Max pain ranged from $3.00 to $8.80. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.08.

Notable Days

2020-12-07: Highest Volume — 482,400 contracts
2020-12-28: Largest IV spike — 5.8% change
2020-12-09: Highest IV Rank — 13.0%
2020-12-02: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.27	$8.96	$11.56	$10.05	$9.60
Max Pain	$3.82	$3.00	$8.80	$8.80	$4.60
ATM IV	63.6%	60.3%	65.6%	63.5%	63.2%
Expected Move	18.4%	17.4%	19.1%	18.6%	17.4%
HV 20d	66.4%	49.5%	76.1%	49.5%	65.3%
HV 60d	72.1%	60.4%	83.4%	78.5%	62.4%
IV Rank	11.5%	9.3%	13.0%	11.8%	10.3%
IV Percentile	19.5%	9.1%	27.0%	21.4%	14.7%
Term Structure	0.1%	-3.5%	2.6%	1.0%	1.0%
VWIV	65.2%	60.0%	68.7%	67.4%	61.5%
Skew 25d	4.3%	1.6%	5.5%	4.3%	5.3%
Skew 10d	10.3%	2.7%	15.1%	9.8%	11.2%
Call IV 25d	62.3%	58.3%	65.3%	62.5%	61.3%
Put IV 25d	66.6%	59.9%	69.5%	66.7%	66.6%
Bid-Ask Spread %	49.63	38.86	55.28	39.84	51.61
Gamma HHI	0.10	0.07	0.14	0.12	0.10
Net GEX	7.1M	-3.1M	13.5M	8.3M	-3.1M
Net DEX	-1.49B	-1.88B	-990.3M	-1.36B	-1.05B
Net VEX	-2.9M	-3.2M	-2.4M	-2.4M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.33	2.72	0.91	0.59
Total Volume	251,535.227	109,525	482,400	152,450	252,600
Total OI	3,904,935.227	3,486,675	4,294,575	3,602,525	4,091,925

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-12-01	$10.05	$8.80	63.5%	18.6%	49.5%	11.8%	67.4%	4.3%	1.0%	8.3M	-1.36B	-2.4M	0.91	39.84	79,775	72,675	1,882,550	1,719,975
2020-12-02	$8.96	$8.80	64.7%	19.1%	66.7%	12.5%	65.6%	4.9%	1.1%	-2.9M	-990.3M	-2.4M	1.29	44.62	142,925	183,900	1,914,250	1,740,750
2020-12-03	$9.15	$3.00	62.9%	18.3%	65.2%	11.4%	66.6%	4.5%	2.6%	502.8K	-1.08B	-2.4M	0.96	48.88	80,675	77,700	2,000,375	1,798,500
2020-12-04	$9.65	$3.00	61.6%	18.1%	67.3%	10.7%	65.5%	2.3%	1.0%	6.2M	-1.29B	-2.4M	0.77	50.03	136,850	104,850	2,029,500	1,826,800
2020-12-07	$10.35	$3.00	65.1%	19.0%	70.6%	12.7%	68.3%	4.5%	1.2%	8.8M	-1.53B	-2.4M	1.27	48.15	212,900	269,500	1,927,850	1,558,825
2020-12-08	$10.48	$3.00	64.8%	18.3%	65.0%	12.5%	66.2%	5.1%	-1.5%	10.2M	-1.64B	-2.6M	0.69	47.11	148,725	102,025	2,056,275	1,747,925
2020-12-09	$10.16	$3.00	65.6%	19.0%	66.1%	13.0%	67.7%	4.9%	0.8%	9.3M	-1.56B	-2.9M	0.78	50.33	123,650	96,575	2,151,300	1,773,950
2020-12-10	$10.44	$3.00	64.9%	18.7%	62.7%	12.6%	67.0%	4.5%	0.4%	12.6M	-1.71B	-3.0M	1.08	46.69	74,225	79,975	2,219,000	1,800,400
2020-12-11	$10.36	$3.00	65.0%	18.8%	62.7%	12.7%	65.8%	4.5%	0.9%	12.2M	-1.67B	-3.0M	0.85	38.86	83,000	70,525	2,209,675	1,834,525
2020-12-14	$9.99	$3.00	65.3%	19.0%	64.7%	12.9%	67.2%	5.2%	-3.5%	9.6M	-1.49B	-2.9M	1.40	52.07	126,725	177,325	2,139,975	1,750,150
2020-12-15	$10.18	$3.00	64.5%	18.6%	64.2%	12.4%	65.6%	5.1%	-2.7%	8.6M	-1.56B	-2.9M	1.27	44.95	99,925	126,975	2,224,750	1,843,250
2020-12-16	$10.46	$3.20	63.3%	18.1%	62.5%	11.7%	65.2%	3.9%	-1.5%	9.4M	-1.67B	-2.9M	1.08	54.95	73,700	79,450	2,240,000	1,897,600
2020-12-17	$10.89	$3.20	62.9%	18.1%	63.5%	11.0%	65.0%	4.3%	0.2%	13.0M	-1.85B	-2.9M	1.30	54.33	101,625	131,650	2,259,150	1,916,175
2020-12-18	$10.61	$3.00	62.2%	17.9%	64.7%	10.4%	63.8%	4.1%	-0.5%	8.5M	-1.79B	-2.8M	0.85	55.28	145,075	123,550	2,354,075	1,940,500
2020-12-21	$11.09	$3.20	64.2%	19.0%	64.8%	11.5%	63.2%	2.9%	-1.4%	9.0M	-1.76B	-3.1M	0.33	51.11	215,225	72,000	2,044,200	1,566,225
2020-12-22	$11.56	$3.20	61.7%	17.9%	65.8%	10.1%	64.8%	4.7%	0.8%	13.5M	-1.88B	-3.1M	1.81	50.92	101,075	182,825	2,133,700	1,597,325
2020-12-23	$10.82	$3.20	60.3%	17.8%	70.9%	9.3%	62.5%	1.6%	0.9%	8.4M	-1.58B	-3.2M	1.46	51.83	182,750	267,200	2,159,325	1,682,700
2020-12-24	$10.98	$3.20	60.7%	17.5%	70.9%	9.5%	61.1%	4.6%	1.3%	11.7M	-1.64B	-3.2M	0.55	54.47	70,775	38,750	2,211,650	1,743,425
2020-12-28	$10.09	$3.20	64.3%	18.3%	76.1%	11.1%	68.7%	5.2%	0.4%	3.9M	-1.29B	-3.1M	2.72	48.18	128,850	350,000	2,142,725	1,647,250
2020-12-29	$9.99	$4.80	65.2%	18.6%	76.1%	11.5%	66.2%	3.0%	0.8%	-425.1K	-1.22B	-3.2M	1.31	53.78	96,575	126,450	2,173,825	1,888,875
2020-12-30	$10.02	$4.60	64.3%	17.8%	76.0%	10.9%	60.0%	5.5%	0.1%	-326.8K	-1.25B	-3.1M	0.57	53.82	77,825	44,425	2,187,025	1,880,350
2020-12-31	$9.60	$4.60	63.2%	17.4%	65.3%	10.3%	61.5%	5.3%	1.0%	-3.1M	-1.05B	-3.0M	0.59	51.61	158,625	93,975	2,197,925	1,894,000